Ruin problems in the generalized Erlang(\(n\)) risk model

DOI10.1007/s13385-016-0130-2zbMath1415.91151OpenAlexW2312921396MaRDI QIDQ303743

Agnieszka I. Bergel, Alfredo D. Egídio dos Reis

Publication date: 22 August 2016

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-016-0130-2

zbMATH Keywords

expected discounted dividends prior to ruingeneralized Erlang(\(n\)) interclaim timesgeneralized Lundberg's equationmaximum severity of ruinprobability of reaching an upper barrierSparre-Andersen risk model

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

Ruin and dividend measures in the renewal dual risk model, On dividends in the phase–type dual risk model, Explicit results on conditional distributions of generalized exponential mixtures, Financial risk measures for a network of individual agents holding portfolios of light-tailed objects

Cites Work

• On ruin for the Erlang \((n)\) risk process
• On a class of renewal risk models with a constant dividend barrier
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Further developments in the Erlang(n) risk process
• Some Optimal Dividends Problems
• Analysis of the multiple roots of the Lundberg fundamental equation in the PH (n) risk model
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• Unnamed Item
• Unnamed Item
• Unnamed Item